Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Oct 27 (2D) Oct 28 (3D) Oct 29 (4D) Oct 30 (5D) Oct 31 (6D) Nov 03 (9D) Nov 04 (10D) Nov 05 (11D) Nov 06 (12D) Nov 07 (13D) Nov 14 (20D) Nov 21 (27D) Nov 28 (34D) Dec 05 (41D) Dec 12 (48D) Dec 19 (55D) Dec 26 (62D)
lower 669.043 667.199 665.644 664.274 663.036 659.841 658.899 658.004 657.148 656.327 651.298 647.097 643.413 640.093 637.046 634.214 631.557
upper 685.457 687.301 688.856 690.226 691.464 694.659 695.601 696.496 697.352 698.173 703.202 707.403 711.087 714.407 717.454 720.286 722.943
expected move 8.207 10.051 11.606 12.976 14.214 17.409 18.351 19.246 20.102 20.923 25.952 30.153 33.837 37.157 40.204 43.036 45.693
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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